Objective

Current income and long-term capital appreciation

Strategy

Uses top down macroeconomic analysis, along with fundamental industry and company research, to capture inefficiencies in the valuation of sectors and individual securities; this is combined with duration management (+/– 2.5 years of the benchmark) in pursuit of above-benchmark returns over a full market cycle

Fund Facts
Asset Manager
  • Brandywine Global Investment Management(Since 2/28/2019)
  • Longfellow Investment Management(Since 5/1/13)
Benchmark Bloomberg Barclays 1-5 Year Government/Credit
Fund Inception Date Class A & Class B: May 1, 2013
Mimimum Investment Class A: No minimum; Class B: $5 million
Expense Ratio Class A: 0.56%; Class B: 0.41%

Annual Average Total Returns
(%) as of 12/31/2020

Trailing 3 Months 1 Year 3 Years 5 Years 10 Years
CUIT Opportunistic Bond Fund Class A 3.55 9.42 5.14 3.91 *
CUIT Opportunistic Bond Fund Class B 3.64 9.50 5.28 4.05 *
Bloomberg Barclays 1-5 Year US Government/Credit Index 0.33 4.71 3.69 2.77 *
Calendar Year 2020 2019 2018 2017 2016 2015
CUIT Opportunistic Bond Fund Class A 9.42 5.35 0.82 1.63 2.54 0.98
CUIT Opportunistic Bond Fund Class B 9.5 5.56 0.96 1.78 2.69 1.23
Bloomberg Barclays 1-5 Year US Government/Credit Index 4.71 5.01 1.38 1.27 1.56 0.97

 

Source: BNY Mellon, SS&C

Characteristics as of 12/31/2020

Statistics Fund Index
Average Maturity (Yrs) 3.9 2.8
Effective Duration (Yrs) 3.1 2.7
Average Quality A AA
Yield-to-Maturity 1.7% 0.4%
Current Yield 2.9% 1.7%
# of Securities 307 3,081
Effective Duration Fund Index
< 1 Year 18.6 3.3
1 - 3 Years 30.9 58.2
3 - 5 Years 37.7 38.5
5-7 Years 7.5 0.0
7-10 Years 3.2 0.0
10-20 years 1.7 0.0
> 20 years 0.4 0.0
Market Sector Analysis Fund Index
Treasury and Gov’t Related 19.7 73.5
Corporate 45.0 26.5
MBS 2.2 0.0
CMBS 12.5 0.0
ABS 10.5 0.0
Merger/Arbitrage 9.6 0.0
Cash 0.5 0.0
Credit Quality Fund Index
AAA 38.5 70.5
AA 7.8 4.1
A 16.2 12.7
BBB 26.6 12.7
Below BBB 10.8 0.0
Risk Metrics Fund
(5 YR)
Index
(5 YR)
Standard Deviation 2.6 1.4
Tracking Error 2.3 N/A
Sharpe Ratio 1.3 1.1
Information Ratio 0.7 N/A
Upside Capture 128.9 100.00
Downside Capture 10.6 100.0

 

Source: FactSet, eVestment
Credit Quality: Cash is included in AAA
Effective Duration: Cash is included in <1 Year

  • Q4 2020 Performance Review

    12-Month Review

    • Although the first quarter results were negative, the subsequent rebound in performance in the rest of 2020 resulted in the Fund outperforming substantially for the year.
    • The overall duration posture of the fund had a slightly positive impact.
    • Curve positioning was slightly negative.
    • Despite the strong last three quarters of 2020, sector allocation was flat for the year due to the macro events of the first quarter as investors rushed to safe-haven Treasuries.
    • Security selection was positive as Corporate holdings, with strong results in Industrials, driving the contribution from Corporates.

    3-Month Review

    • The Fund outperformed its benchmark. Benefitting from a continued rebound in the Bond portfolio and a Merger Arbitrage allocation.
    • There was minimal impact from the duration posture given little movement in rates.
    • Yield curve positioning was slightly negative.
    • Sector allocation had a positive impact on relative performance as the significant underweight to Treasuries combined with overweights to Corporates and exposure to ABS and CMBS added value.
    • Security selection was the largest contributor to outperformance. Specific holdings within Industrials accounted for much of the positive security selection results.
    • The Merger Arbitrage portfolio continued the trend of positive returns following a negative
      first quarter.

    Current Positioning

    • Duration position is slightly longer than the benchmark.
    • Sector exposure emphasizes Corporates and securitized areas, which is supported by a continued underweight to Treasuries.
    • High yield exposure was about 11% at year end, a bit higher than the allocation at the end of the third quarter.

 

All attribution is based on gross portfolio performance.

  • Fund Fact Sheet

    PDF
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